العلاقة السببية بين كمية النقود و بعض المتغيرات الاقتصادية الكلية في المملكة العربية السعودية

Abstract EN

The main objective of this study is to investigate the direction of the causal relationship between money and dynamics of the macroeconomic activity, such as GDP, interest rates, exchange rates and prices in the kingdom of Saudi Arabia in the period from 1971 to 2013.

the methodology used is the bounds co-integration tests based on autoregressive distributed lag model, ARDL which was developed by pesaran and shin, 1999 (pesaran et.

al., 2001).

after confirming the existence of a long-term relationship, granger causality was used in the multivariate model vector error correction (VECM), to see the direction of the causal relationship between the variablesk the bounds test revealed that there exists a long-run relation among real output, money supply, interest rate and exchange rate when the M2, price and GDP variables were the dependent variable.

the short-run causality found evidence of bidirectional causality between money and prices and a unidirectional causality running from price and money to real output was found.

a unidirectional causality running from exchange rate to money and to prices was found.

the exchange rate was found to be independent of changes in money.

the causality was found from output, to money, which follows the real business cycle theory (RBC theory), more than, the key macroeconomic model such as Keynesian and monetary school of thinking.

therefore if the main objective of the government is to maintain a high rate of economic growth and curb inflation, government should therefore concentrate on long-run structural policy changes.

because any expansionary monetary policies are likely to cause relatively high impact on nominal variables, such as prices or exchange rates rather than the total real output.

in an economy that is exposed to the effect of external factors, such as oil prices.